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From: "David Doria" <daviddoria@gmail.com>
Newsgroups: comp.soft-sys.matlab
Subject: Complex Number Covariance Matrix
Date: Mon, 24 Mar 2008 21:57:01 +0000 (UTC)
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I have 2 phasors (just complex numbers represented as
vectors) x and y that are spinning and stretching (so
changing both the real and imag components).  I take a
"snapshot" of each of these every time interval (T). (So I
now have x1, x2, x3...etc and y1, y2, y3, etc...) I would
like to see how similar x and y were at each time, so I
think this means I would like to find the sample covariance

(1/N) * SUM( (x_i-ux)*(y_i-uy) )
         i

of x and y where ux=mean(x) and uy=mean(y) where x and y are
complex vectors (a+bi).

Is there a way to do this that makes sense?

Thanks,

David